50% VT 50% Cash

Portfolio Specification

Assets

VANGUARD TOTAL WORLD STOCK INDEX FUND ETF SHARES (VT) 50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) 50.00%

Policy

Rebalancing Interval Annually
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 11m 2d)

Returns (annualized)

Portfolio 5.47%
Benchmark 12.47%

Risk (annualized)

Portfolio 9.66%
Benchmark 19.81%

Sharpe (annualized)

Portfolio 0.46
Benchmark 0.62

Excess Return (annualized)

-7.00%

Tracking Error (annualized)

11.15%

Information Ratio

-0.63
Statistic Portfolio Benchmark
Downside Volatility 10.37% 21.03%
Sortino Ratio 0.43 0.59
Calmar Ratio 0.16 0.26
Ulcer Index 15.38 15.04
Max Drawdown 26.99% 47.17%
VaR (99% Confidence) $-2,247 $-4,608
VaR (99.9% Confidence) $-2,984 $-6,122
Beta to Benchmark 0.46 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.67

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4937 0.9831 -0.4895
Size Factor 0.0201 -0.0580 0.0781
Style Factor 0.0061 0.0124 -0.0063
U.S. Tilt (Non U.S.) 0.0076 0.3964 -0.3888

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution